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Write the diffusion process as $d{X}_t=b(X_t)dt+\sigma (X_t)d{B}_t$, with $a=\sigma {\sigma }^{\mathsf{T}}$. Its diffusion generator isThe Itô formula says that $\phi (X_t)-\phi (X_0)-{\int }_0^{t}L\phi (X_s)ds$ is a local martingale, and is a true martingale when the stopped terms are integrable. Taking expectations gives Dynkin formula for a diffusion. This is the bridge from infinitesimal stochastic dynamics to differential equations.

For the transition semigroup $P_{t}g(x)={\mathbb{E}}_{x}g(X_t)$, the Markov property gives $P_{t+s}=P_t{P}_s$. On a smooth generator domain where differentiation is valid, differentiating the semigroup identity yields the Kolmogorov backward equation ${\partial }_t{P}_{t}g=L(P_{t}g)$, with initial value $g$. If a transition density $p(t,x,y)$ exists, integration against smooth compactly supported tests and integration by parts give the Fokker-Planck equationThe backward equation acts on the starting point, while this forward equation describes the evolving probability density.

Here is a full representation proof with a source and potential. Suppose $X$ is nonexplosive, $V\ge 0$ is bounded, $f,g$ are bounded, and $u$ is a bounded classical solution on a finite slab ofFor a process started from $x$ at time $t$, put $D_s=\exp (-{\int }_t^{s}V(X_r)dr)$. The Itô product rule givesTherefore $D_{s}u(s,X_s)+{\int }_t^s{D}_{r}f(r,X_r)dr$ is a local martingale. It is bounded in absolute value by $\Vert u{\Vert }_{\infty }+(T-t)\Vert f{\Vert }_{\infty }$, so it is a true martingale, without requiring a global derivative bound. Its endpoint expectations give the parabolic Feynman-Kac formula with a sourceThis proves uniqueness in the bounded classical class. Setting $V=f=0$ recovers the backward heat or diffusion representation; the minus sign in the killing term produces the negative exponential.

For an elliptic problem, stop at the first exit $\tau$ from a bounded regular domain $D$. Suppose ${\mathbb{E}}_x\tau <\infty$, $u\in C^2(D)\cap C(\bar{D})$ is bounded and solves $(L-V)u=-f$ with boundary data $g$. The same calculation, stopped at $t\wedge \tau$, gives a martingale dominated by $\Vert u{\Vert }_{\infty }+\Vert f{\Vert }_{\infty }\tau$. Continuity puts $X_{\tau }$ on the boundary. Taking the limit and using dominated convergence gives the elliptic Feynman-Kac formulaFor $V=f=0$, harmonic functions for $L$ give stopped martingales and are averages of their exit-boundary values. For Brownian motion $L=\frac{1}{2}\Delta$, this is the probabilistic solution of the Dirichlet problem. Suitable smooth coefficients and uniform ellipticity give familiar settings where the required diffusion, exit-time integrability and classical solutions exist. The representation itself follows from the stated regularity and integrability conditions, rather than claiming classical solvability for arbitrary coefficients.